Dividend Behavior and Dividend Signaling
分析了整体股市的股利行为，提出一个基于调整成本最小化的模型，发现股利能传递当前永久收益意外正向变化的信息，且调整速度和信号检验对模型设定敏感。
We analyze the dividend behaviour of the aggregate stock market. We propose a model that assumes managers minimize the costs of adjustment associated with being away from their target dividend payout. The target is expressed as a function of lagged stock prices and permanent earnings, generalizing previous models of dividend behaviour. We present a new method for measuring unobserved permanent earning based on the Kalman filter. Our specification of dividend behaviour is strongly supported by the data relative to both alternative models and over time. We find significant evidence of dividends conveying information regarding unexpected positive changes in current permanent earnigs. We also find that both the speed of adjustment of dividends to target dividends and tests of signaling are sensitive to the specification of the model.